Valor Nominal de Bono del Tesoro Cupón anual Precio del PM expansiva

Plazo
US$ US$ bono US$
100 6m 0 98 Tasas bajaran
100 12m 4% 99 Pago variable
100 18m 6% 101 Recibo fija
100 24m 8% 105
50% del cupon se paga cada 6 meses

a)
98 * exp ( r6m * 6 /12 ) = 100
exp ( r6m * 6 /12 ) = 1.02
r6m * 6 /12 = 0.02
r6m = 4.0405%

mes mes
6 12
Flujos 2 102
VP Flujos 1.96
(99 - VP Flujos) * exp ( r12m * 12 /12 ) = 102
exp ( r12m * 12 /12 ) = 1.0511129
r12m * 12 /12 = 0.0498495486
r12m = 4.98%

mes mes mes

6 12 18
Flujos 3 3 103
VP Flujos 2.94 2.85
(101 - VP Flujos) * exp ( r18m * 18 /12 ) = 103
exp ( r18m * 18 /12 ) = 1.0818659252
r18m * 18 /12 = 0.07868725892
r18m = 5.25%

mes mes mes mes

6 12 18 24
Flujos 4 4 4 104
 VP Flujos 3.92 3.81 3.70
(105 - VP Flujos) * exp ( r18m * 24 /12 ) = 104
exp ( r18m * 18 /12 ) = 1.11138190377
r24m * 24 /12 = 0.1056041994
r24m = 5.28%
b) N 30,000,000
FRA 12 X 18
exp ( r18m * 18 /12 ) exp ( r12m * 12 /12 )
1.0819 = 1.0511 * exp ( rk * 6 / 12 )
1.0293 = exp ( rk * 6 / 12 )
= rk * 6 / 12
0.0288
= rk
5.77%
5.85% = rk transformada

c) FRA 10 x 16
t 2
r10m 6% continua
r16m 7% continua

exp ( r18m * 16 /12 ) exp ( r12m * 10 /12 )

1.097827616823 = 1.0512711 * exp ( rfwd * 6 / 12 )
1.044285932152 = exp ( rfwd * 6 / 12 )
0.043333333333 = rfwd * 6 / 12
= rfwd
8.67%
8.86% = rfwd transformada

V 410676.20
(410,676.20)

d)
Dia de liquidacion
Payoff 21,624.96
LIBOR 3M 5% (21,624.96) La tasa bajo entonces el inversionista perdio
LIBOR 6M 6%
LIBOR 12M 6.5%
 INTEGRANTES:

Fernando Apumayta
Camila Arenas
tasa bajo entonces el inversionista perdio